There must be a document library, some place within the site collection using the Content Type that you are trying to delete. For this reason it is not possible to delete the Content Type. To fix this issue, identify the document library that is currently using the Content Type. Change the Content Type of any documents in the library currently set to the Content Type. Delete or remove the Content Type from the document library.

Once you've done this, it will be possible to delete the Content Type from the gallery.